메뉴 건너뛰기




Volumn 24, Issue 4, 2006, Pages 295-323

Macroeconomic risk influences on the property stock market

Author keywords

Financial risk; Macroeconomics; Property; Stock markets

Indexed keywords


EID: 33747062409     PISSN: 1463578X     EISSN: None     Source Type: Journal    
DOI: 10.1108/14635780610674507     Document Type: Article
Times cited : (28)

References (51)
  • 1
    • 0033939712 scopus 로고    scopus 로고
    • "Some international evidence of stock prices as leading indicators of economic activities"
    • Aylward, A. and Glen, J. (2000), "Some international evidence of stock prices as leading indicators of economic activities", Applied Financial Economics, Vol. 10, pp. 1-14.
    • (2000) Applied Financial Economics , vol.10 , pp. 1-14
    • Aylward, A.1    Glen, J.2
  • 2
    • 21144483298 scopus 로고
    • "Theoretical relations between risk premium and conditional variance"
    • Backus, D.K. and Gregory, A.W. (1993), "Theoretical relations between risk premium and conditional variance", Journal of Business and Economic Statistics, Vol. 11, pp. 177-85.
    • (1993) Journal of Business and Economic Statistics , vol.11 , pp. 177-185
    • Backus, D.K.1    Gregory, A.W.2
  • 4
    • 0011017078 scopus 로고    scopus 로고
    • "Selecting macroeconomic variables as explanatory factors of emerging stock market returns"
    • Bislon, C.M., Brailsford, T.J. and Hooper, V.J. (2001), "Selecting macroeconomic variables as explanatory factors of emerging stock market returns", Pacific-Basin Finance Journal, Vol. 9, pp. 401-26.
    • (2001) Pacific-Basin Finance Journal , vol.9 , pp. 401-426
    • Bislon, C.M.1    Brailsford, T.J.2    Hooper, V.J.3
  • 5
    • 33747057546 scopus 로고    scopus 로고
    • "Global capital flows surging into property"
    • Bloomberg June 15
    • Bloomberg (2004), "Global capital flows surging into property", The Business Times, June 15.
    • (2004) The Business Times
  • 6
    • 42449156579 scopus 로고
    • "Generalized autoregressive conditional heteroscedasticity"
    • Bollerslev, T. (1986), "Generalized autoregressive conditional heteroscedasticity", Journal of Econometrics, Vol. 31, pp. 307-27.
    • (1986) Journal of Econometrics , vol.31 , pp. 307-327
    • Bollerslev, T.1
  • 7
    • 34848900983 scopus 로고
    • "ARCH modeling in finance: A review of the theory and empirical evidence"
    • Bollerslev, T., Chou, Y. and Kroner, F. (1992), "ARCH modeling in finance: A review of the theory and empirical evidence", Journal of Econometrics, Vol. 52, pp. 5-59.
    • (1992) Journal of Econometrics , vol.52 , pp. 5-59
    • Bollerslev, T.1    Chou, Y.2    Kroner, F.3
  • 8
    • 0032771486 scopus 로고    scopus 로고
    • "The impact of economic and financial factors on UK property performance"
    • Brooks, C. and Tsolacos, S. (1999), "The impact of economic and financial factors on UK property performance", Journal of Property Research, Vol. 16 No. 2, pp. 139-52.
    • (1999) Journal of Property Research , vol.16 , Issue.2 , pp. 139-152
    • Brooks, C.1    Tsolacos, S.2
  • 10
    • 84984001492 scopus 로고
    • "Real estate investment fund performance and portfolio considerations"
    • Brueggeman, W.B., Chen, A. and Thiboleau, T.G. (1984), "Real estate investment fund performance and portfolio considerations", AREUEA Journal, Vol. 12 No. 3, pp. 333-54.
    • (1984) AREUEA Journal , vol.12 , Issue.3 , pp. 333-354
    • Brueggeman, W.B.1    Chen, A.2    Thiboleau, T.G.3
  • 11
    • 84983931920 scopus 로고
    • "Risk and return on real estate: Evidence from equity REITs"
    • Chan, K.C., Hendershott, P. and Sanders, A.B. (1990), "Risk and return on real estate: Evidence from equity REITs", AREUEA Journal, Vol. 18, pp. 431-52.
    • (1990) AREUEA Journal , vol.18 , pp. 431-452
    • Chan, K.C.1    Hendershott, P.2    Sanders, A.B.3
  • 12
    • 0035560841 scopus 로고    scopus 로고
    • "Price discovery in the Hong Kong real estate market"
    • Chau, K.W., MacGregor, B. and Schwann, G. (2001), "Price discovery in the Hong Kong real estate market", Journal of Property Research, Vol. 18 No. 3, pp. 187-216.
    • (2001) Journal of Property Research , vol.18 , Issue.3 , pp. 187-216
    • Chau, K.W.1    MacGregor, B.2    Schwann, G.3
  • 13
    • 84977738382 scopus 로고
    • "Financial investment opportunities and macroeconomy"
    • Chen, N.F. (1991), "Financial investment opportunities and macroeconomy", Journal of Finance, Vol. 46, pp. 529-54.
    • (1991) Journal of Finance , vol.46 , pp. 529-554
    • Chen, N.F.1
  • 14
    • 0000496978 scopus 로고
    • "Economic forces and the stock markets"
    • Chen, N.F., Roll, R. and Ross, S. (1986), "Economic forces and the stock markets", Journal of Business, Vol. 59, pp. 383-403.
    • (1986) Journal of Business , vol.59 , pp. 383-403
    • Chen, N.F.1    Roll, R.2    Ross, S.3
  • 15
    • 0001248324 scopus 로고    scopus 로고
    • "International evidence on the stock market and aggregate economic activity"
    • Cheung, Y. and Ng, L.K. (1998), "International evidence on the stock market and aggregate economic activity", Journal of Empirical Finance, Vol. 5, pp. 281-96.
    • (1998) Journal of Empirical Finance , vol.5 , pp. 281-296
    • Cheung, Y.1    Ng, L.K.2
  • 16
    • 0042320783 scopus 로고    scopus 로고
    • "Time varying risk premia for real estate investment trusts: A GARCH-M model"
    • Devaney, M. (2001), "Time varying risk premia for real estate investment trusts: A GARCH-M model", The Quarterly Review of Economics and Finance, Vol. 41, pp. 335-46.
    • (2001) The Quarterly Review of Economics and Finance , vol.41 , pp. 335-346
    • Devaney, M.1
  • 17
    • 0344970290 scopus 로고    scopus 로고
    • "Macroeconomic determinants of European stock market volatility"
    • Errunza, V. and Hogan, K. (1998), "Macroeconomic determinants of European stock market volatility", European Financial Management, Vol. 3, pp. 361-77.
    • (1998) European Financial Management , vol.3 , pp. 361-377
    • Errunza, V.1    Hogan, K.2
  • 18
    • 0000051984 scopus 로고
    • "Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation"
    • Engle, R.F. (1982), "Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation", Econometrica, Vol. 50, pp. 987-1007.
    • (1982) Econometrica , vol.50 , pp. 987-1007
    • Engle, R.F.1
  • 19
    • 84925929029 scopus 로고
    • "Stock returns, real activity, inflation and money"
    • Fama, E.F. (1981), "Stock returns, real activity, inflation and money", American Economic Review, Vol. 71, pp. 545-65.
    • (1981) American Economic Review , vol.71 , pp. 545-565
    • Fama, E.F.1
  • 20
    • 34250890715 scopus 로고
    • "Business conditions and expected returns on stocks and bonds"
    • Fama, E.F. and French, K.R. (1989), "Business conditions and expected returns on stocks and bonds", Journal of Financial Economics, Vol. 25, pp. 23-49.
    • (1989) Journal of Financial Economics , vol.25 , pp. 23-49
    • Fama, E.F.1    French, K.R.2
  • 22
    • 84934453931 scopus 로고
    • "The variation of economic risk premium"
    • Ferson, W.E. and Harvey, C.R. (1991), "The variation of economic risk premium", Journal of Political Economy, Vol. 99, pp. 385-415.
    • (1991) Journal of Political Economy , vol.99 , pp. 385-415
    • Ferson, W.E.1    Harvey, C.R.2
  • 24
    • 0041471114 scopus 로고
    • "Performance measures of real estate firm common stock returns, 143-156"
    • in Schwartz, A.L. and Kapplin, S.D. (Eds), American Real Estate Society, Clemson, SC
    • Glascock, J.L. and Davidson, W.N. (1995), "Performance measures of real estate firm common stock returns, 143-156", in Schwartz, A.L. and Kapplin, S.D. (Eds), Alternative Ideas in Real Estate Investment, Real Estate Research Issues 2, American Real Estate Society, Clemson, SC.
    • (1995) Alternative Ideas in Real Estate Investment, Real Estate Research Issues 2
    • Glascock, J.L.1    Davidson, W.N.2
  • 25
    • 0000414660 scopus 로고
    • "Large sample properties of generalized methods of moments"
    • Hansen, L.P. (1982), "Large sample properties of generalized methods of moments", Econometrica, Vol. 50, pp. 1029-55.
    • (1982) Econometrica , vol.50 , pp. 1029-1055
    • Hansen, L.P.1
  • 27
    • 0002156283 scopus 로고
    • "The risk exposure of emerging equity markets"
    • Harvey, C.R. (1995), "The risk exposure of emerging equity markets", The World Bank Economic Review, Vol. 9 No. 1, pp. 19-50.
    • (1995) The World Bank Economic Review , vol.9 , Issue.1 , pp. 19-50
    • Harvey, C.R.1
  • 28
  • 29
    • 33747059428 scopus 로고    scopus 로고
    • "Monetary policy and real estate returns"
    • Johnson, R.R. (2000), "Monetary policy and real estate returns", Journal of Economics and Finance, Vol. 24 No. 3, pp. 283-93.
    • (2000) Journal of Economics and Finance , vol.24 , Issue.3 , pp. 283-293
    • Johnson, R.R.1
  • 30
    • 0036016198 scopus 로고    scopus 로고
    • "Regime shifts in Asian equity and real estate markets"
    • Kallberg, J., Liu, C. and Pasquariello, P. (2002), "Regime shifts in Asian equity and real estate markets", Real Estate Economics, Vol. 30 No. 2, pp. 263-92.
    • (2002) Real Estate Economics , vol.30 , Issue.2 , pp. 263-292
    • Kallberg, J.1    Liu, C.2    Pasquariello, P.3
  • 31
    • 0032329268 scopus 로고    scopus 로고
    • "The variation of economic risk premiums in real estate returns"
    • Karolyi, G.A. and Sanders, A.B. (1998), "The variation of economic risk premiums in real estate returns", Journal of Real Estate Finance and Economics, Vol. 17 No. 3, pp. 245-62.
    • (1998) Journal of Real Estate Finance and Economics , vol.17 , Issue.3 , pp. 245-262
    • Karolyi, G.A.1    Sanders, A.B.2
  • 32
    • 84976998771 scopus 로고
    • "The application of electronic computers to factor analysis"
    • Kaiser, H.F. (1960), "The application of electronic computers to factor analysis", Educational and Psychological Measurement, Vol. 20, pp. 141-51.
    • (1960) Educational and Psychological Measurement , vol.20 , pp. 141-151
    • Kaiser, H.F.1
  • 33
    • 0041578434 scopus 로고    scopus 로고
    • "The causes of stock market volatility in Australia"
    • Kearney, C. and Daly, K. (1998), "The causes of stock market volatility in Australia", Applied Financial Economics, Vol. 8, pp. 597-605.
    • (1998) Applied Financial Economics , vol.8 , pp. 597-605
    • Kearney, C.1    Daly, K.2
  • 34
    • 0000826691 scopus 로고    scopus 로고
    • "Macroeconomic volatility and stock market volatility: Empirical evidence on Finnish data"
    • Liljeblom, E. and Stenius, M. (1997), "Macroeconomic volatility and stock market volatility: Empirical evidence on Finnish data", Applied Financial Economics, Vol. 7, pp. 419-26.
    • (1997) Applied Financial Economics , vol.7 , pp. 419-426
    • Liljeblom, E.1    Stenius, M.2
  • 35
    • 0031501561 scopus 로고    scopus 로고
    • "Economic risk factors and commercial real estate returns"
    • Ling, D.C. and Naranjo, A. (1997), "Economic risk factors and commercial real estate returns", Journal of Real Estate Finance and Economics, Vol. 14, pp. 283-301.
    • (1997) Journal of Real Estate Finance and Economics , vol.14 , pp. 283-301
    • Ling, D.C.1    Naranjo, A.2
  • 36
    • 0034489086 scopus 로고    scopus 로고
    • "The dynamics of the Singapore property market"
    • Liow, K.H. (2000), "The dynamics of the Singapore property market", Journal of Property Research, Vol. 17 No. 4, pp. 279-91.
    • (2000) Journal of Property Research , vol.17 , Issue.4 , pp. 279-291
    • Liow, K.H.1
  • 37
    • 3543004676 scopus 로고    scopus 로고
    • "Time-varying macroeconomic risk and commercial real estate: An asset pricing perspective"
    • Liow, K.H. (2004), "Time-varying macroeconomic risk and commercial real estate: An asset pricing perspective", Journal of Real Estate Portfolio Management, Vol. 10 No. 1, pp. 47-58.
    • (2004) Journal of Real Estate Portfolio Management , vol.10 , Issue.1 , pp. 47-58
    • Liow, K.H.1
  • 38
    • 33646866112 scopus 로고    scopus 로고
    • "Interest rate risk and time-varying excess returns for Asian property stocks"
    • Liow, K.H. and Huang, Q. (2006), "Interest rate risk and time-varying excess returns for Asian property stocks", Journal of Property Investment & Finance, Vol. 24 No. 3, pp. 188-210.
    • (2006) Journal of Property Investment & Finance , vol.24 , Issue.3 , pp. 188-210
    • Liow, K.H.1    Huang, Q.2
  • 39
    • 0141671714 scopus 로고    scopus 로고
    • "Interest rate sensitivity and risk premium of property stocks"
    • Liow, K.H., Ooi, J.T.L. and Wang, L.K. (2003), "Interest rate sensitivity and risk premium of property stocks", Journal of Property Research, Vol. 20 No. 2, pp. 117-32.
    • (2003) Journal of Property Research , vol.20 , Issue.2 , pp. 117-132
    • Liow, K.H.1    Ooi, J.T.L.2    Wang, L.K.3
  • 40
    • 0000414772 scopus 로고
    • "The predictability of returns on equity REITs and their co-movement with other assets"
    • Liu, C. and Mei, J. (1992), "The predictability of returns on equity REITs and their co-movement with other assets", Journal of Real Estate Finance and Economics, Vol. 5, pp. 401-18.
    • (1992) Journal of Real Estate Finance and Economics , vol.5 , pp. 401-418
    • Liu, C.1    Mei, J.2
  • 41
    • 0031527382 scopus 로고    scopus 로고
    • "Interactions between property and equity markets: An investigation of linkages in the UK"
    • Lizieri, C. and Satchell, S. (1997), "Interactions between property and equity markets: An investigation of linkages in the UK", Journal of Real Estate Finance and Economics, Vol. 15 No. 1, pp. 11-26.
    • (1997) Journal of Real Estate Finance and Economics , vol.15 , Issue.1 , pp. 11-26
    • Lizieri, C.1    Satchell, S.2
  • 44
    • 0034553592 scopus 로고    scopus 로고
    • "Conditional risk premiums of Asian real estate stocks"
    • Mei, J. and Hu, J. (2000), "Conditional risk premiums of Asian real estate stocks", Journal of Real Estate Finance and Economics, Vol. 21 No. 3, pp. 297-313.
    • (2000) Journal of Real Estate Finance and Economics , vol.21 , Issue.3 , pp. 297-313
    • Mei, J.1    Hu, J.2
  • 45
    • 85007659558 scopus 로고    scopus 로고
    • "The impact of macroeconomic and financial variables on market risk: Evidence from international equity returns"
    • Patro, D.K., Wald, J.K. and Wu, Y. (2002), "The impact of macroeconomic and financial variables on market risk: Evidence from international equity returns", European Financial Management, Vol. 8 No. 4, pp. 421-47.
    • (2002) European Financial Management , vol.8 , Issue.4 , pp. 421-447
    • Patro, D.K.1    Wald, J.K.2    Wu, Y.3
  • 47
    • 49549135545 scopus 로고
    • "The arbitrage theory of capital asset pricing"
    • Ross, S.E. (1976), "The arbitrage theory of capital asset pricing", Journal of Economic Theory, Vol. 13, pp. 341-60.
    • (1976) Journal of Economic Theory , vol.13 , pp. 341-360
    • Ross, S.E.1
  • 48
    • 33747032982 scopus 로고
    • "Macroeconomic risk and the determination of expected returns on stocks"
    • Sill, K. (995), "Macroeconomic risk and the determination of expected returns on stocks", Managerial Finance, Vol. 21 No. 7, pp. 43-56.
    • (1995) Managerial Finance , vol.21 , Issue.7 , pp. 43-56
    • Sill, K.1
  • 50
    • 33747056453 scopus 로고    scopus 로고
    • "Macroeconomic risk factors in Australian commercial real estate, listed property trust and property sector stock returns: A comparative analysis using GARCH-M"
    • paper presented at the 8th Asian Real Estate Society International Conference, July 21-22, Singapore
    • West, T. and Worthington, A. (2003), "Macroeconomic risk factors in Australian commercial real estate, listed property trust and property sector stock returns: A comparative analysis using GARCH-M", paper presented at the 8th Asian Real Estate Society International Conference, July 21-22, Singapore.
    • (2003)
    • West, T.1    Worthington, A.2
  • 51
    • 0038137154 scopus 로고    scopus 로고
    • "Investing in international real estate stocks: A review of the literature"
    • Worzala, E. and Sirmans, C.F. (2003), "Investing in international real estate stocks: A review of the literature", Urban Studies, Vol. 40 Nos 5/6, pp. 1115-49.
    • (2003) Urban Studies , vol.40 , Issue.5-6 , pp. 1115-1149
    • Worzala, E.1    Sirmans, C.F.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.